The cost of doing nothing: Testing the benefits of water disposal risk reduction with water management Activism investing in Latin America

El costo de hacer nada: Una prueba de los beneficios de la reducción del riesgo de disposición de agua por medio de inversión activista en aguaObjetivo: Se responde la pregunta ¿cuál sería el desempeño de un inversionista si invierte solo en compañías con un adecuado manejo de agua en Latino Amética? Metodología: Se emplea la razón de consumo de agua entre ingresos (WTR) para medir la calidad de las políticas de manejo de agua en la empresa. También simula el desempeño de un inversionista invertido principalemente en empresas con el mejor WTR (del 6 de enero del 2005 al 20 de abril del 2022). Resultados: Al comparar el portafolio simulado contra el de mercado, los resultados sugieren que ambos tienen un desempeño similar en el corto plazo. En el largo plazo, las pruebas evidencian que el portafolio WTR tiene un riesgo sistemático menor (beta de 0.26), y su desempeño es más estable (media-varianza eficiente). Los resultados controlan el impacto de fluctuaciones cambiarias en algunos paises latinoamericanos. Conclusiones: Los resultados pueden ser de utilidad para inversionistas activistas de consumo de agua, motivar mejores prácticas de manejo de agua en las empresas y reducir el riesgo de disposición de agua en años venideros.Objective: This paper answers What would the performance of an investor be if she or he invested only in public companies with proper water management practices in Latin America (LATAM)? Methodology: The research uses the water-to-revenues (WTR) ratio to measure water management quality. It simulates the performance of an investor invested mainly in companies with the best WTR (from January 6th, 2005, to Abril 20, 2022). Results: Comparing the simulated portfolio’s performance against a broad market portfolio, the results suggest that both portfolios have similar performance in the short term. In the long term, the tests found that the WTR has a low systematic (market) risk (beta of 0.26), and its performance is more stable (mean-variance efficient) than the market portfolio. The tests also control the impact of some LATAM currencies’ depreciation. Conclusions: The results could be useful for investors to engage in water management activism through investing, motivate companies to engage in better water management practices, and reduce the future risk that water disposal represents to the world in years to come

Quantum diffusion on a cyclic one dimensional lattice

The quantum diffusion of a particle in an initially localized state on a cyclic lattice with N sites is studied. Diffusion and reconstruction time are calculated. Strong differences are found for even or odd number of sites and the limit N->infinit is studied. The predictions of the model could be tested with micro - and nanotechnology devices.Comment: 17 pages, 5 figure

The benefits of active portfolio management. A reform proposal to Michoacan State’s Public Pension Fund Office

El presente artículo estudia el contexto legal y administrativo de uno de los fondos de pensiones de beneficio definido políticamente más relevantes en México, la Dirección de Pensiones Civiles del Estado de Michoacán. Como consecuencia de esto, se hace la propuesta de una política, estructura y proceso de gestión activa de carteras para su reserva técnica. Para probar la pertinencia de la propuesta, se realizó una simulación de eventos discretos con tres tipos de matrices de covarianzas, empleando el modelo Markowitz- Tobin-Sharpe-Lintner. Los resultados demuestran que se superan los objetivos actuariales planteados y se logra incrementar, como consecuencia, el periodo de suficiencia financiera del plan de pensiones

EPR before EPR: a 1930 Einstein-Bohr thought experiment revisited

In 1930 Einstein argued against consistency of the time-energy uncertainty relation by discussing a thought experiment involving a measurement of mass of the box which emitted a photon. Bohr seemingly triumphed over Einstein by arguing that the Einstein's own general theory of relativity saves the consistency of quantum mechanics. We revisit this thought experiment from a modern point of view at a level suitable for undergraduate readership and find that neither Einstein nor Bohr was right. Instead, this thought experiment should be thought of as an early example of a system demonstrating nonlocal "EPR" quantum correlations, five years before the famous Einstein-Podolsky-Rosen paper.Comment: 11 pages, revised, accepted for publication in Eur. J. Phy

Enhancing portfolio performance and VIX futures trading timing with markov-switching GARCH models

In the present paper, we test the use of Markov-Switching (MS) models with time-fixed or Generalized Autoregressive Conditional Heteroskedasticity (GARCH) variances. This, to enhance the performance of a U.S. dollar-based portfolio that invest in the S&P 500 (SP500) stock index, the 3-month U.S. Treasury-bill (T-BILL) or the 1-month volatility index (VIX) futures. For the investment algorithm, we propose the use of two and three-regime, Gaussian and t-Student, MS and MS-GARCH models. This is done to forecast the probability of high volatility episodes in the SP500 and to determine the investment level in each asset. To test the algorithm, we simulated 8 portfolios that invested in these three assets, in a weekly basis from 23 December 2005 to 14 August 2020. Our results suggest that the use of MS and MS-GARCH models and VIX futures leads the simulated portfolio to outperform a buy and hold strategy in the SP500. Also, we found that this result holds only in high and extreme volatility periods. As a recommendation for practitioners, we found that our investment algorithm must be used only by institutional investors, given the impact of stock trading fees.This research was funded by the Coordinación de la Investigación Científica at Universidad Michoacana de San Nicolás de Hidalgo and by the Instituto Politécnico Naciona

An EM/MCMC Markov-witching GARCH behavioral algorithm for random-length lumber futures trading

This paper tests using two-regime Markov-switching models with asymmetric, time-varying exponential generalized autoregressive conditional heteroskedasticity (MS-EGARCH) variances in random-length lumber futures trading. By assuming a two-regime context (a low s=1 and high s=2 volatility), a trading algorithm was simulated with the following trading rule: invest in lumber futures if the probability of being in the high-volatility regime s=2 is lower or equal to 50%, or invest in the 3-month U.S. Treasury bills (TBills) otherwise. The rationale tested in this paper was that using a two-regime Markov-switching (MS) algorithm leads to an overperformance against a buy-and-hold strategy in lumber futures. To extend the current literature in MS trading algorithms, two location parameter scenarios were simulated. The first uses an unconditional mean or expected value (no factors), and the second incorporates market and behavioral factors. With weekly simulations form 2 January 1994 to 28 July 2023, the results suggest that using MS-EGARCH models in a no-factors scenario is appropriate for active lumber futures trading with an accumulated return of 158.33%. Also, the results suggest that it is not useful to add market and behavioral factors in the MS-GARCH estimation because it leads to a lower performance.Junta de Extremadura | Ref. GR2116

Using Markov-Switching models in Italian, British, U.S. and Mexican equity portfolios: a performance test

In this paper we test the use of Markov Switching models in equity trading strategies, following Brooks and Persand (2001), Kritzman et al. (2012) and Hauptmann et al. (2014), who suggest their use as warning systems of bad performing periods. We extend their reviews by testing again (with the impact of trading fees) the U.S. and U.K. markets and by extending our tests to the Italian and Mexican case. The rationale behind our Markov-Switching strategy is to invest in equity index tracking ETFs in low volatility or ”good performing” periods and in the local risk-free asset in high-volatility or ”bad performing” ones. Our results show that in a weekly simulation from January 4, 2001 to July 30, 2017 with a 0.35% trading fee plus taxes, our system is useful to create alpha in all the simulated markets even if the Italian case showed several deep distress moments due to a financial or political crisis

mm-Wave DRW Antenna Phase Centre Determination

This document presents an approach to the phase centre determination of a dielectric rod waveguide (DRW) antenna by means of measurements obtained with a planar measuring system at millimeter wave lengths. Phase centre determination by the least squares fit technique is described in this document for different DRW antennas (silicon and sapphire). Results at different operating frequencies are offered

The effect of RU486 administered during the proliferative and secretory phase of the cycle on the bleeding pattern, hormonal parameters and the endometrium

Seventeen healthy women aged 24-45 years with regular menstrual periods, proven fertility and not using steroidal contraceptives or IUD were recruited for the study. The volunteers were followed during one control, one treatment and one follow-up cycle. Daily morning urine samples were obtained during the control and the treatment cycle. The samples were analysed with regard to pregnanediol glucuronide (P2-G), oestrone glucuronide (E1-G), oestradiol (E2), progesterone (P4), LH and creatinine. During the entire 3-month study the subjects kept a record of uterine bleeding and side effects. The subjects received 50 mg RU486 daily either on cycle days 7-10 (n = 7) or on cycle days 20-23 (n = 10). An endometrial biopsy was taken on cycle day 10 in the first group and on cycle days 21-28 in the second group of patients. Treatment during the proliferative phase caused significant prolongation of the cycle length due to a delay of the oestrogen and LH surge. However, once the oestrogen concentration started to increase, the remaining part of the cycle was normal. The length of the follow-up cycle was similar to that of the control cycle. The morphology of the endometrium did not differ from control samples taken from untreated women at the same time of the cycle. All ovulating women (n = 9) treated in the mid-luteal phase started to bleed on the 3rd to 4th day of the treatment. In four of these women the bleeding was scanty and followed by a menstrual-like bleeding at expected time, while in the remaining five volunteers the treatment bleeding was heavier and not followed by a new bleeding until a month later. The duration of the secretory phase was 16.5 ± 1.3 days in women with two bleeding episodes and 11.8 ± 1.9 days in women with one bleeding episode (P < 0.05). The hormonal parameters were similar in both groups up to the start of the treatment. In the patients with one bleeding episode, the treatment was associated with a reduction in progesterone concentration, while in the patients with two bleeding episodes the progesterone concentration remained elevated until the second bleeding episode. Light microscopic examination of the endometrium revealed unique changes in the endometrial morphology. The results indicate that RU486 acts mainly on the endometrium but a direct or indirect effect on the corpus luteum cannot be excluded. The age of the corpus luteum may be of importance for its susceptibility to RU486 treatmen

Functional assessment of cancer therapy questionnaire for breast cancer (FACT-B+4): Italian version validation

BACKGROUND: Improvements in breast cancer diagnosis and treatment led to an increased incidence of survivors' rate. The healthcare system has to face new problems related not only to the treatment of the disease, but also to the management of the quality of life after the diagnosis. The aim of this study was to validate the Italian version of the Functional Assessment of Cancer Therapy - Breast (FACT-B+4) questionnaire and to evaluate its reliability. METHODS: The questionnaire was administered twice, with an interval of three days between each administration, to a cohort of women of the Breast Surgical Unit, PoliclincoUmberto I. Cronbach's alpha was used as a measure of the internal consistency of the Italian version. RESULTS: The Italian version of the tool was administered to 55 subjects. The Cronbach's alpha for most scores registered values >0.7, both at baseline and at the follow-up analysis, therefore the subscale showed good internal consistency. CONCLUSIONS: The Italian version of FACT-B+4 demonstrated acceptable reliability properties in the Breast Unit patients. The use of this questionnaire seemed to be effective and in line with the results derived from the English and Spanishversions. Internal consistency and validity had similar performance results